It's not a receiver problem.
That AUX input works with a "line-level" signal, which is pretty much a standard.
It sounds like the MP3 players earphone jack doesn't provide enough juice to drive the receiver's AUX inputs. That' not an uncommon complaint, and many receivers need to be "cranked" in order to provide satisfying volume. Your headphone amp seems to provide the added oomph.
Now, if that player had a digital output available, perhaps what the previous poster suggested might do the trick. If not, perhaps an external DAC might provide a higher output.
Also, some players have a dedicated "dock" available that can put out a true "line out" which can be more powerful than the earphone out.